Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0859 |
| Annualized Std Dev | 0.2789 |
| Annualized Sharpe (Rf=0%) | 0.3082 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 5543.0000 |
| NAs | 1.0000 |
| Minimum | -0.1198 |
| Quartile 1 | -0.0066 |
| Median | 0.0011 |
| Arithmetic Mean | 0.0005 |
| Geometric Mean | 0.0003 |
| Quartile 3 | 0.0080 |
| Maximum | 0.1684 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | 0.0000 |
| UCL Mean (0.95) | 0.0009 |
| Variance | 0.0003 |
| Stdev | 0.0176 |
| Skewness | 0.2367 |
| Kurtosis | 7.0636 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0125 |
| Gain Deviation | 0.0130 |
| Loss Deviation | 0.0133 |
| Downside Deviation (MAR=210%) | 0.0168 |
| Downside Deviation (Rf=0%) | 0.0122 |
| Downside Deviation (0%) | 0.0122 |
| Maximum Drawdown | 0.8298 |
| Historical VaR (95%) | -0.0283 |
| Historical ES (95%) | -0.0419 |
| Modified VaR (95%) | -0.0247 |
| Modified ES (95%) | -0.0305 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2000-03-27 | 2002-10-09 | 2016-09-07 | -0.8298 | 4139 | 637 | 3502 |
| 2020-02-20 | 2020-03-16 | 2020-06-05 | -0.2856 | 75 | 18 | 57 |
| 2018-08-30 | 2018-12-24 | 2019-04-17 | -0.2316 | 158 | 80 | 78 |
| 2000-01-04 | 2000-01-06 | 2000-01-19 | -0.1478 | 11 | 3 | 8 |
| 2020-09-03 | 2020-09-23 | 2020-12-01 | -0.1275 | 62 | 14 | 48 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | NA | NA | 2.1 | 0.6 | -2.2 | 0.7 | -0.5 | 0.7 | 0 | -0.5 | 1.5 | -0.1 | 2.2 |
| 2000 | 2.8 | 0.6 | 2.1 | 1.3 | 5.4 | 1.6 | -1.2 | 0.6 | -4.1 | -0.9 | 1.6 | -5 | 4.5 |
| 2001 | 1.3 | 2.8 | 0.5 | 4.1 | 3 | 3 | 3.2 | 0 | -0.9 | 4.2 | -0.8 | -3.5 | 18.2 |
| 2002 | -1 | 5.8 | 1.9 | -0.5 | -1.6 | -4.8 | -4.7 | -1.3 | 6.1 | 2.9 | -0.7 | -1.1 | 0.4 |
| 2003 | -0.4 | 1.6 | 0.8 | 0.9 | 1.6 | 1.3 | -1.1 | 0.9 | 2.3 | -0.6 | 1.5 | -0.3 | 8.8 |
| 2004 | -0.5 | 1.3 | 0.9 | -2.4 | -0.1 | -1.9 | 0.3 | 0.7 | 2.7 | 0.4 | 2 | -0.2 | 3.3 |
| 2005 | 0.3 | 1.1 | -1 | 0.7 | 0.9 | -0.1 | 0.2 | -0.2 | 0.7 | -0.1 | 1.9 | -0.8 | 3.5 |
| 2006 | 0.4 | 1.4 | -0.3 | -1 | 2.4 | -0.5 | -1.7 | 0.5 | -0.4 | -1.4 | -0.9 | 0.1 | -1.4 |
| 2007 | -0.1 | -0.5 | -0.1 | 0.3 | 0.1 | 0.2 | 0.8 | 1.1 | 1.1 | -1.9 | -0.8 | -1.2 | -1 |
| 2008 | 1 | -2.7 | 4.3 | 3.2 | 0.6 | 1.4 | -1.3 | -2.1 | -1.1 | 0.2 | -7.5 | 0.8 | -3.6 |
| 2009 | -1.8 | -0.9 | 1.5 | 0.3 | 2.9 | 0.1 | -0.3 | -1.9 | -3 | -2.7 | 1 | -0.9 | -5.7 |
| 2010 | 1.1 | 1.5 | 0 | -2 | -0.9 | -0.3 | 0.2 | 3 | -0.1 | 0.1 | 2.1 | -0.4 | 4.3 |
| 2011 | 1.9 | -1.6 | 0.1 | -0.1 | -2.2 | 1.5 | -0.5 | -0.9 | -2.6 | -2.6 | 0.7 | -0.3 | -6.5 |
| 2012 | 0.8 | 0.8 | -0.2 | 0.2 | -2.7 | 3.2 | -0.3 | 0.7 | -0.1 | 1.4 | -0.2 | 2.1 | 5.7 |
| 2013 | 1.2 | 0.4 | -0.7 | -0.5 | -0.9 | 0.6 | 1 | -0.6 | 1 | 0 | 0.6 | 0.7 | 2.8 |
| 2014 | -0.3 | -0.1 | 1.8 | 0.3 | 0 | 1.1 | -0.4 | 0.4 | -1.6 | 1.4 | -1.1 | -1 | 0.4 |
| 2015 | -0.8 | -0.4 | -0.5 | 1.3 | 0.3 | 0.8 | -0.1 | -3.1 | 0.5 | -0.4 | 1 | -1.2 | -2.8 |
| 2016 | 0.3 | 3.2 | 1.1 | -0.5 | 0 | 0.5 | 0.5 | 0.3 | 0.7 | -0.8 | -1.7 | -1 | 2.5 |
| 2017 | 0.7 | 1.1 | -0.1 | 0.9 | 0.4 | 0 | 0.2 | -0.1 | 0.7 | 0 | -0.4 | -0.6 | 2.8 |
| 2018 | -0.9 | -1.6 | 1.8 | 1.1 | 1.6 | 0.3 | 0.4 | 0.1 | 0.2 | 1.3 | 0.7 | 0.8 | 6 |
| 2019 | -0.4 | 0.7 | 1.3 | -0.3 | -1.6 | 1.3 | -0.5 | -0.2 | -0.8 | 0.9 | -0.5 | 0.2 | 0.1 |
| 2020 | -1.6 | 0.1 | -4.2 | -2.8 | 0.3 | 1.2 | 1.8 | 1.7 | 1.6 | -2.5 | 1.3 | 0.2 | -3.2 |
| 2021 | 2.5 | 3 | 0.4 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 6 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 1999-03-10 51.1 SPY 129. 0.0088 0.0463 0.0392 NA NA NA NA <NA> NA NA NA
2 1999-03-11 51.3 SPY 131. 0.0111 0.0447 0.0748 NA NA NA NA <NA> NA NA NA
3 1999-03-12 50.1 SPY 129. -0.00960 0.0143 0.0577 NA NA NA NA <NA> NA NA NA
4 1999-03-15 51.5 SPY 131. 0.0143 0.0222 0.0487 NA NA NA NA <NA> NA NA NA
5 1999-03-16 51.9 SPY 131. -0.0038 0.0207 0.0574 NA NA NA NA <NA> NA NA NA
6 1999-03-17 51.6 SPY 130. -0.0043 0.0075 0.0593 NA NA NA NA <NA> NA NA NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
